How can I draw a Call option path?
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Hi! I need your help for a university project I can't find the solution of.
I have a Put option down-and-in, whose underlying is a European call option. I managed to find the price of the call with the tree method (on descrete), but I can't use the AssetPath method to draw the call's path over time because derivates do not follow Brownian motion. I need the Call path because my Put option will activate only if the underlying's price moves down the barrier.
May I ask for your help? How can I draw the call's path?
Accepted Answer
Fabrizio Fois
on 30 Mar 2017
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